IM conversations are not deleted simply by closing the IM window. A user must choose to end the conversation or must sign out of the account in order for a conversation to disappear.
To End a Session:
1) From the IM window, open the conversation you would like to end (if you are talking with multiple users).
2) Once the conversation is populated in the IM window, select the Message drop down from the top of the screen.
3) Next, select End Conversation, and the session will be deleted.
